{"id":23188,"date":"2013-09-26T21:04:47","date_gmt":"2013-09-27T01:04:47","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=23188"},"modified":"2013-09-26T21:04:47","modified_gmt":"2013-09-27T01:04:47","slug":"september-26-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=23188","title":{"rendered":"September 26, 2013"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts down 20bp, FixedResets gaining 6bp and DeemedRetractibles off 19bp; the FixedReset figure is affected by a reversal of yesterday’s<\/a> nonsense with FTS.PR.K; the ridiculous gain computed from Toronto Stock Exchange data was worth a little in excess of 20bp to the FixedReset subindex – account for that and relative figures are more reasonable. Volatility was fairly high with BAM issues notable amongst the losers. Volume was high.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.8268 %<\/td>\n2,533.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.29 %<\/td>\n3.60 %<\/td>\n31,436<\/td>\n18.09<\/td>\n1<\/td>\n-4.0693 %<\/td>\n3,873.4<\/td>\n<\/tr>\n
Floater<\/td>\n2.67 %<\/td>\n2.87 %<\/td>\n64,312<\/td>\n20.04<\/td>\n5<\/td>\n-0.8268 %<\/td>\n2,734.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.62 %<\/td>\n1.63 %<\/td>\n67,809<\/td>\n0.50<\/td>\n3<\/td>\n-0.1794 %<\/td>\n2,640.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.75 %<\/td>\n4.63 %<\/td>\n59,894<\/td>\n4.05<\/td>\n6<\/td>\n0.0890 %<\/td>\n2,953.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1794 %<\/td>\n2,414.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.89 %<\/td>\n-0.13 %<\/td>\n109,647<\/td>\n0.08<\/td>\n2<\/td>\n0.1770 %<\/td>\n2,268.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.55 %<\/td>\n5.53 %<\/td>\n146,108<\/td>\n14.27<\/td>\n36<\/td>\n-0.2003 %<\/td>\n2,351.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.93 %<\/td>\n3.71 %<\/td>\n243,057<\/td>\n3.66<\/td>\n85<\/td>\n0.0634 %<\/td>\n2,456.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.11 %<\/td>\n4.47 %<\/td>\n197,947<\/td>\n3.03<\/td>\n43<\/td>\n-0.1887 %<\/td>\n2,381.8<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n-4.07 %<\/td>\nNot real – just more bullshit from Bullshit Central. This issue traded 800 shares today in two trades, both at 23.10, which happens to be yesterday’s last bid. The last quote<\/a> was 22.16-00, 1×5. Since the last offer is below the trades, one may infer that there is some real weakness, but it’s hard to tell how much.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-26
\nMaturity Price : 22.53
\nEvaluated at bid price : 22.16
\nBid-YTW : 3.60 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n-1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.85
\nBid-YTW : 3.91 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n-1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.11
\nBid-YTW : 4.42 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n-1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-26
\nMaturity Price : 20.06
\nEvaluated at bid price : 20.06
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n-1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-26
\nMaturity Price : 20.05
\nEvaluated at bid price : 20.05
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-26
\nMaturity Price : 21.52
\nEvaluated at bid price : 21.52
\nBid-YTW : 5.40 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-26
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 2.91 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.78
\nBid-YTW : 4.24 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-26
\nMaturity Price : 22.65
\nEvaluated at bid price : 23.25
\nBid-YTW : 4.08 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-26
\nMaturity Price : 22.78
\nEvaluated at bid price : 23.06
\nBid-YTW : 2.26 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-26
\nMaturity Price : 22.63
\nEvaluated at bid price : 23.00
\nBid-YTW : 5.20 %<\/td>\n<\/tr>\n
TCA.PR.X<\/td>\nPerpetual-Discount<\/td>\n1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-11-14
\nMaturity Price : 50.00
\nEvaluated at bid price : 50.53
\nBid-YTW : -6.05 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset<\/td>\n19.39 %<\/td>\nNot real. Just a reversal of yesterday’s<\/a> nonsense.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-26
\nMaturity Price : 22.84
\nEvaluated at bid price : 24.20
\nBid-YTW : 4.10 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n105,876<\/td>\nTD crossed 10,000 at 22.71; Desjardins crossed 78,000 at 22.55.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-26
\nMaturity Price : 22.26
\nEvaluated at bid price : 22.55
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n94,084<\/td>\nTo be extended or converted<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.12
\nBid-YTW : 3.74 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n57,144<\/td>\nTD crossed 55,000 at 24.22.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-26
\nMaturity Price : 22.97
\nEvaluated at bid price : 24.13
\nBid-YTW : 4.43 %<\/td>\n<\/tr>\n
GWO.PR.J<\/td>\nFixedReset<\/td>\n55,800<\/td>\nNesbitt crossed 50,000 at 25.12.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.11
\nBid-YTW : 4.10 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nDeemed-Retractible<\/td>\n54,942<\/td>\nScotia crossed blocks of 25,000 and 24,700, both at 22.65.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.52
\nBid-YTW : 6.00 %<\/td>\n<\/tr>\n
MFC.PR.A<\/td>\nOpRet<\/td>\n52,578<\/td>\nTD crossed 50,000 at 25.55.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-19
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.51
\nBid-YTW : 2.77 %<\/td>\n<\/tr>\n
There were 51 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\nQuote: 22.16 – 23.00
\nSpot Rate : 0.8400
\nAverage : 0.6017<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-26
\nMaturity Price : 22.53
\nEvaluated at bid price : 22.16
\nBid-YTW : 3.60 %<\/td>\n<\/tr>\n

PWF.PR.A<\/td>\nFloater<\/td>\nQuote: 23.06 – 23.97
\nSpot Rate : 0.9100
\nAverage : 0.6735<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-26
\nMaturity Price : 22.78
\nEvaluated at bid price : 23.06
\nBid-YTW : 2.26 %<\/td>\n<\/tr>\n

RY.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.10 – 25.46
\nSpot Rate : 0.3600
\nAverage : 0.2200<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : 4.47 %<\/td>\n<\/tr>\n

VNR.PR.A<\/td>\nFixedReset<\/td>\nQuote: 25.15 – 25.56
\nSpot Rate : 0.4100
\nAverage : 0.2788<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-10-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.15
\nBid-YTW : 4.45 %<\/td>\n<\/tr>\n

IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\nQuote: 22.19 – 22.74
\nSpot Rate : 0.5500
\nAverage : 0.4253<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.19
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n

BNS.PR.Y<\/td>\nFixedReset<\/td>\nQuote: 23.85 – 24.15
\nSpot Rate : 0.3000
\nAverage : 0.1982<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.85
\nBid-YTW : 3.91 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. It was a poor day for the Canadian preferred share market, with PerpetualDiscounts down 20bp, FixedResets gaining 6bp and DeemedRetractibles off 19bp; the FixedReset figure is affected by a reversal of yesterday’s …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-23188","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/23188","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=23188"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/23188\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=23188"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=23188"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=23188"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}